✦ LIBER ✦

On the validity of the batch quantile method for Markov chains

✍ Scribed by David F. Muñoz

Publisher: Elsevier Science
Year: 2010
Tongue: English
Weight: 338 KB
Volume: 38
Category: Article
ISSN: 0167-6377
DOI: 10.1016/j.orl.2010.01.001

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✦ Synopsis

We discuss the asymptotic validity of confidence intervals for quantiles of performance variables when simulating a Markov chain. We show that a batch quantile methodology (similar to the batch means method) can be applied to obtain confidence intervals that are asymptotically valid under mild assumptions.

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